What happens when a plane runs out of fuel before reaching a city? Like, say, the player loses all the cities nearby the plane and all the cities the plane can return to are too far away for the plane to reach with it's current fuel, what would happen to the plane? would you lose it? would it somehow fly all the way back to the nearest city? Something totally bizarre?

The AI tries its best to stop this from happening and that's why your planes fly home automatically. But you're right that if the plane's home city is lost and there are no others near enough for it to get to it will crash and be lost.